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Probabilistic representation for solutions of a porous media type equation with neumann boundary condition: The case of the half-line

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Résumé

The purpose of this paper consists of proposing a generalized solution for a porous media type equation on a half-line with Neumann boundary condition and prove a probabilistic representation of this solution in terms of an associated microscopic diffusion. The main idea is to construct a stochastic differential equation with reflection, which has a solution in law and whose marginal law densities provide the unique solution of the porous media type equation.

langue originaleAnglais
Pages (de - à)181-200
Nombre de pages20
journalDifferential and Integral Equations
Volume27
Numéro de publication1-2
étatPublié - 1 janv. 2014

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